My comments are directed to the way Alan is trying to calculate the composite volume. For the prices of the indexes, depending on how you use it, it may also have survivorship problem. For example, if you use the index as an input for a trading system to trade its component stocks, you may also want to test those stocks which have been removed from the index. However if you use the index to test corresponding futures/options or ETFs, it would be fine.
On Fri, Oct 23, 2009 at 4:12 PM, Keith McCombs <[email protected]>wrote: > > > Mark -- > Don't your remarks, "can not use it for backtesting more than a few months > back" and "the components of the index keep changing", hold for the prices > in the SP500 as well as the composite volume Alan is trying to calculate? > In fact, don't they hold for all the standard indexes, DJI, COMP, RUT, > etc.? They all have some degree of survivorship bias. > -- Keith > > > Mark Hike wrote: > > > > Not sure how you would use the volume data, but I would say that you can > not use it for backtesting more than a few months back. That's because the > components of the index keep changing and you would need to account for the > survivorship bias. > > On Fri, Oct 23, 2009 at 3:24 PM, Alan Northam <[email protected]>wrote: > >> >> >> To create a scan that will sum up all the volume data for all stocks in >> the S&P500 Index I have created this afl file: >> >> Buy = 0; >> Sell = 0; >> AddToComposite(Volume,"~sp500volume","Volume", flags = 1); >> >> I have also created a small symbol list (symlist) made up of 9 stock >> symbols and saved it as one of the Watch Lists. >> >> I have also created the following Indicator: >> >> _SECTION_BEGIN("sp500volume"); >> vol = Foreign("~sp500volume", "volume", 1); >> >> Plot(Vol, "SP500Volume", colorBlack, 2); >> _SECTION_END(); >> >> When I do a Scan in Automatic Analysis I click on "use filter" in the >> "Apply to" area and define the filter as my my small symbol list >> (symlist). In the "Range" area I click on "all quotations". I then >> run the Scan and nothing happens. If instead of using my symlist I >> click on "all symbols" in the "Apply to" area the scan runs for several >> minutes and I see the volume bars update on my stock chart at the end of >> the scan. So everything is working except for being able to run the >> scan on a selected list of stocks. Once I get this to run on a small >> list of stocks I will then use a stock list of 500 stocks that make up >> the S&P500 Index. Anyone have any suggestions to get this to run on a >> select list of stocks instead of all the stocks in my database? >> >> Regards, >> Alan >> >> >> Alan wrote: >> > >> > >> > >> > >> > Ara: >> > >> > Thanks for the instruction. I am trying to find the SP500 list. Does >> > Quotes-Plus provide the list or did you have to make it? >> > >> > Alan, >> > >> > --- In [email protected] <amibroker%40yahoogroups.com><mailto: >> amibroker%40yahoogroups.com <amibroker%2540yahoogroups.com>>, >> > "Ara Kaloustian" <a...@...> <a...@...> wrote: >> > > >> > > Alan, >> > > >> > > I am doing what you are suggesting to derive volume data for SP500. >> > My code >> > > is not very usefull to you as it is part of other similar code and >> > > configurations. >> > > >> > > Simply use AddToComposite function and scan the SP500 list. Then use >> > > Foreign() function to access the data. >> > > >> > > Ara >> > > ----- Original Message ----- >> > > From: "Alan" <a...@...> <a...@...> >> > > To: <[email protected] <amibroker%40yahoogroups.com><mailto: >> amibroker%40yahoogroups.com <amibroker%2540yahoogroups.com>>> >> > > Sent: Friday, October 23, 2009 2:21 AM >> > > Subject: [amibroker] Quotes_Plus Volume Work Around? >> > > >> > > >> > > > Quotes-Plus provides volume data with some of its indexes (for >> example >> > > > the Dow Jones Industrial Average) while at the same time does not >> > > > provide volume data for some of the other indexes (for example the >> > > > S&P500 Index). What I want to know does anyone have a suggestion for >> a >> > > > work around? One way I thought of was to write an indicator that >> > > > collects the volume data for all 500 stocks in the index and >> plotting >> > > > the result. Is there a better way? Also has anyone already done this >> > > > and would like to share their code? >> > > > >> > > > Alan, >> > > > >> > > > >> > > > >> > > > ------------------------------------ >> > > > >> > > > **** IMPORTANT PLEASE READ **** >> > > > This group is for the discussion between users only. >> > > > This is *NOT* technical support channel. >> > > > >> > > > TO GET TECHNICAL SUPPORT send an e-mail directly to >> > > > SUPPORT {at} amibroker.com >> > > > >> > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at >> > > > http://www.amibroker.com/feedback/ >> > <http://www.amibroker.com/feedback/> >> > > > (submissions sent via other channels won't be considered) >> > > > >> > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> > > > http://www.amibroker.com/devlog/ <http://www.amibroker.com/devlog/ >> > >> > > > >> > > > Yahoo! Groups Links >> > > > >> > > > >> > > > >> > > > >> > > >> > >> > >> >> > >
